public void OnMessage(QuickFix.FIX44.QuoteRequest msg, QuickFix.SessionID s)
{
if (Fix44QuoteRequestEvent != null)
{
Fix44QuoteRequestEvent(msg);
}
}
public void OnMessage(QuickFix.FIX44.QuoteRequest rfq, SessionID s)
{
try
{
Console.WriteLine("Received Quote Request Message: ");
QuickFix.FIX44.Quote quote = new QuickFix.FIX44.Quote();
quote.SetField(new QuoteID(new Guid().ToString()));
quote.SetField(new QuoteReqID(rfq.QuoteReqID.getValue()));
quote.SetField(new BidPx(0));
quote.SetField(new OfferPx(Convert.ToDecimal(1.18)));
quote.SetField(new OrderQty(Convert.ToDecimal(rfq.GetField(Tags.OrderQty))));
quote.SetField(new Side(Convert.ToChar(rfq.GetField(Tags.Side))));
quote.SetField(new SecurityType(rfq.GetField(Tags.SecurityType)));
quote.SetField(new CFICode(rfq.GetField(Tags.CFICode)));
quote.SetField(new TransactTime(DateTime.Now.Date));
quote.SetField(new SettlDate(rfq.GetField(Tags.SettlDate)));
quote.SetField(new Account(rfq.GetField(Tags.Account)));
quote.SetField(new Symbol(rfq.GetField(Tags.Symbol)));
quote.SetField(new Currency(rfq.GetField(Tags.Currency)));
Session.SendToTarget(quote, s);
Console.WriteLine(quote.ToString());
}
catch (Exception ex)
{
Console.WriteLine(ex.Message);
}
}
private void QueryQuoteRequest()
{
try
{
Console.WriteLine("Sending a QuoteRequest.");
QuickFix.FIX44.QuoteRequest rfq = new QuickFix.FIX44.QuoteRequest();
rfq.SetField(new QuoteReqID(new Guid().ToString()));
rfq.SetField(new Side('1'));
rfq.SetField(new Symbol("EUR/USD"));
rfq.SetField(new Currency("USD"));
rfq.SetField(new SecurityType("FOR"));
rfq.SetField(new CFICode("SPOT"));
rfq.SetField(new OrderQty(2000000));
rfq.SetField(new TransactTime(DateTime.Now.Date));
rfq.SetField(new SettlDate(DateTime.Now.Date.AddDays(2).ToString("yyyy-MM-dd")));
rfq.SetField(new Account("client123"));
_session.Send(rfq);
Console.WriteLine(rfq.ToString());
}
catch (Exception ex)
{
Console.WriteLine(ex.Message);
}
}
public void HandleQuoteRequest(QuickFix.FIX44.QuoteRequest msg)
{
try
{
string quoteRequestId = msg.QuoteReqID.Obj;
//string status = FixEnumTranslator.Translate(msg.OrdStatus);
Trace.WriteLine("OVM: Handling QuoteRequest: " + quoteRequestId);
TradeRecord tr = new TradeRecord(quoteRequestId, "1", "New", "100.1", "CT10", "B");
SmartDispatcher.Invoke(new Action <TradeRecord>(AddTrade), tr);
/*
* lock (_ordersLock)
* {
* foreach (OrderRecord r in Orders)
* {
* if (r.ClOrdID == clOrdId)
* {
* r.Status = status;
* if (msg.IsSetLastPx())
* r.Price = msg.LastPx.Obj;
* if (msg.IsSetOrderID())
* r.OrderID = msg.OrderID.Obj;
*
* return;
* }
* }
* }
*/
Trace.WriteLine("OVM: No order corresponds to QuoteRequestId: '" + quoteRequestId + "'");
}
catch (Exception e)
{
Trace.WriteLine(e.ToString());
}
}
public void OnMessage(QuickFix.FIX44.QuoteRequest message, SessionID sessionID)
{
Echo(message, sessionID);
}
